I have been trying to find decent Indian food, for example, but have been coming up short. Pittsburgh does have very good modern-American cuisine, but "ethnic" food is a bit lacking.
Going out drinking is insanely cheap by comparison. You can get a good craft beer draft for as low as $2, whereas in NYC the best I'd find would be around $4 (and that would be pretty lucky). There's plenty to do culturally, and the rent/housing prices are very good.
EDIT: Thanks for all the Indian food recommendations. I've got some eating to do!